Stochastic financial models / / Douglas Kennedy
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| Autore: |
Kennedy Douglas.
|
| Titolo: |
Stochastic financial models / / Douglas Kennedy
|
| Pubblicazione: | Boca Raton : , : CRC Press, , 2010 |
| Descrizione fisica: | 1 online resource (264 p.) |
| Disciplina: | 332.632042 |
| Soggetto topico: | Investments - Mathematical models |
| Stochastic analysis | |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | 1. Portfolio choice -- 2. The binomial model -- 3. A general discrete-time model -- 4. Brownian motion -- 5. The Black-Scholes model -- 6. Interest-rate models. |
| Sommario/riassunto: | Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Black-Scholes ModelIntroductionThe Black-Scholes formulaHedging and the Black-Scholes equationPath-dependent claimsDividend-paying assetsInterest-Rate ModelsIntroductionSurvey of interest-rate modelsGaussian random-field modelAppendix A: Mathematical PreliminariesAppendix B: Solutions to the ExercisesFurthe |
| Titolo autorizzato: | Stochastic financial models |
| ISBN: | 0-429-18478-6 |
| 1-4200-9346-0 | |
| 1-4398-8271-1 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910821416503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Chapman & Hall/CRC financial mathematics series.